Filetype Excel XLSX | Posted on 08 Aug 2022 | 4 years ago
Authentication
digital resources
394x Filetype XLSX File size 0.13 MB Source: www.federalreserve.gov
Sheet 1: BasicInfo
| Acronym | Authors | Year | LongDescription | Journal | Cat.Signal | Note on Cat.Signal | Cat.Form | Cat.Data | Cat.Economic | SampleStartYear | SampleEndYear | Acronym2 |
| ChInvIA | Abarbanell and Bushee | 1998 | Change in capital inv (ind adj) | AR | Predictor | t=2.9 in mv reg | continuous | Accounting | investment growth | 1974 | 1988 | InvestGr |
| ETR | Abarbanell and Bushee | 1998 | Effective Tax Rate | AR | Placebo | t=1.5 in mv reg | continuous | Accounting | other | 1974 | 1988 | TaxRate |
| GrGMToGrSales | Abarbanell and Bushee | 1998 | Gross margin growth to sales growth | AR | Placebo | t=1.9 in mv reg | continuous | Accounting | earnings growth | 1974 | 1988 | GM2SaleGr |
| GrSaleToGrInv | Abarbanell and Bushee | 1998 | Sales growth over inventory growth | AR | Predictor | t=2.4 in mv reg | continuous | Accounting | sales growth | 1974 | 1988 | RevG2InvG |
| GrSaleToGrOverhead | Abarbanell and Bushee | 1998 | Sales growth over overhead growth | AR | Predictor | t=2.1 in mv reg | continuous | Accounting | sales growth | 1974 | 1988 | RevG2OHG |
| GrSaleToGrReceivables | Abarbanell and Bushee | 1998 | Change in sales vs change in receiv | AR | Placebo | t=1.6 in mv reg | continuous | Accounting | profitability alt | 1974 | 1988 | RevG2ARG |
| LaborforceEfficiency | Abarbanell and Bushee | 1998 | Laborforce efficiency | AR | Placebo | t=0.6 in mv reg | continuous | Accounting | profitability alt | 1974 | 1988 | RevG2EmpG |
| pchgm_pchsale | Abarbanell and Bushee | 1998 | Change in gross margin vs sales | AR | Placebo | GHZ variant of GrGMToGrSale | continuous | Accounting | profitability alt | 1974 | 1988 | ChAssetTurnover |
| betaCC | Acharya and Pedersen | 2005 | Illiquidity-illiquidity beta (beta2i) | JFE | Placebo | in-sample only | continuous | Trading | liquidity | 1964 | 1999 | betaCC |
| betaCR | Acharya and Pedersen | 2005 | Illiquidity-market return beta (beta4i) | JFE | Placebo | in-sample only | continuous | Trading | liquidity | 1964 | 1999 | betaCR |
| betaNet | Acharya and Pedersen | 2005 | Net liquidity beta (betanet,p) | JFE | Placebo | in-sample only | continuous | Trading | liquidity | 1964 | 1999 | betaNet |
| betaRC | Acharya and Pedersen | 2005 | Return-market illiquidity beta | JFE | Placebo | in-sample only | continuous | Trading | liquidity | 1964 | 1999 | betaRC |
| betaRR | Acharya and Pedersen | 2005 | Return-market return illiquidity beta | JFE | Placebo | in-sample only | continuous | Trading | liquidity | 1964 | 1999 | betaRR |
| BetaBDLeverage | Adrian, Etula and Muir | 2014 | Broker-Dealer Leverage Beta | JF | Placebo | t=1 in conservative port sort | continuous | Trading | liquidity | 1973 | 2009 | BetaBDLeverage |
| IdioVolAHT | Ali, Hwang, and Trombley | 2003 | Idiosyncratic risk (AHT) | JFE | Predictor | t = 2.7 in mv reg | continuous | Price | volatility | 1976 | 1997 | IdioVolAHT |
| EarningsConsistency | Alwathainani | 2009 | Earnings consistency | BAR | Predictor | t=2.7 in complicated LS port | continuous | Accounting | earnings growth | 1971 | 2002 | EarnCons |
| Illiquidity | Amihud | 2002 | Amihud's illiquidity | JFM | Predictor | t=6.6 in univariate reg | continuous | Trading | liquidity | 1964 | 1997 | Illiquid |
| BidAskSpread | Amihud and Mendelsohn | 1986 | Bid-ask spread | JFE | Predictor | strong port sorts but no LS special data | continuous | Trading | liquidity | 1961 | 1980 | BidAskSpread |
| grcapx | Anderson and Garcia-Feijoo | 2006 | Change in capex (two years) | JF | Predictor | t=5 in port sort | continuous | Accounting | investment growth | 1976 | 1999 | CAPXgr |
| grcapx1y | Anderson and Garcia-Feijoo | 2006 | Investment growth (1 year) | AR | Placebo | HXZ variant | continuous | Accounting | investment | 1964 | 2003 | CAPXgr1y |
| grcapx3y | Anderson and Garcia-Feijoo | 2006 | Change in capex (three years) | JF | Predictor | t=4.7 in port sort | continuous | Accounting | investment growth | 1976 | 1999 | CAPXgr3y |
| ForecastDispersionLT | Anderson, Ghysels, and Juergens | 2005 | Long-term forecast dispersion | RFS | Placebo | t=1.0 in conservative long-short | continuous | Analyst | volatility | 1991 | 1997 | EPSDispLT |
| betaVIX | Ang et al. | 2006 | Systematic volatility | JF | Predictor | t=3.9 in port sort | continuous | Price | volatility | 1986 | 2000 | betaVIX |
| IdioRisk | Ang et al. | 2006 | Idiosyncratic risk | JF | Predictor | t=2.9 in port sort | continuous | Price | volatility | 1963 | 2000 | IdioVol |
| IdioVol3F | Ang et al. | 2006 | Idiosyncratic risk (3 factor) | JF | Predictor | t=3.1 in port sort | continuous | Price | volatility | 1963 | 2000 | IdioVol3F |
| IdioVolCAPM | Ang et al. | 2006 | Idiosyncratic risk (CAPM) | JF | Placebo | HXZ variant | continuous | Price | volatility | 1963 | 2000 | IdioVolCAPM |
| IdioVolQF | Ang et al. | 2006 | Idiosyncratic risk (q factor) | JF | Placebo | HXZ variant | continuous | Price | volatility | 1967 | 2000 | IdioVolQF |
| CoskewACX | Ang, Chen and Xing | 2006 | Coskewness using daily returns | RFS | Predictor | t=2.8 in port sort | continuous | Price | risk | 1963 | 2001 | CoskewACX |
| DownsideBeta | Ang, Chen and Xing | 2006 | Downside beta | RFS | Placebo | t=0.6 in port sort | continuous | Price | risk | 1963 | 2001 | betaDown |
| IO_ShortInterest | Asquith Pathak and Ritter | 2005 | Inst own among high short interest | JFE | Predictor | strong port sort but no long-short | continuous | 13F | ownership | 1980 | 2002 | InstOwnSI |
| Mom6mJunk | Avramov et al | 2007 | Junk Stock Momentum | JF | Predictor | t=4.3 in port sort | continuous | Price | momentum | 1985 | 2003 | Mom6Jnk |
| OrderBacklogChg | Baik and Ahn | 2007 | Change in order backlog | Other | Predictor | p<0.01 in port sort | continuous | Accounting | accruals | 1971 | 1999 | OrderBacklogChg |
| ChangeRoA | Balakrishnan, Bartov and Faurel | 2010 | Change in Return on assets | NA | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1976 | 2005 | ChangeRoA |
| ChangeRoE | Balakrishnan, Bartov and Faurel | 2010 | Change in Return on equity | NA | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1976 | 2005 | ChangeRoE |
| roaq | Balakrishnan, Bartov and Faurel | 2010 | Return on assets (qtrly) | JAE | Predictor | t=6.5 in port sort, nontraditional | continuous | Accounting | profitability | 1976 | 2005 | RoAq |
| MaxRet | Bali, Cakici, and Whitelaw | 2010 | Maximum return over month | JF | Predictor | t=2.8 in port sort | continuous | Price | volatility | 1962 | 2005 | MaxRet |
| ReturnSkew | Bali, Engle and Murray | 2015 | Return skewness | Book | Predictor | t=4 in port sort | continuous | Price | risk | 1963 | 2012 | RetSkew |
| ReturnSkew3F | Bali, Engle and Murray | 2015 | Idiosyncratic skewness (3F model) | Book | Predictor | t=4.4 in port sort | continuous | Price | risk | 1963 | 2012 | RetSkew3F |
| ReturnSkewCAPM | Bali, Engle and Murray | 2015 | Idiosyncratic skewness (CAPM) | Book | Placebo | HXZ variant | continuous | Price | risk | 1963 | 2012 | RetskewCAPM |
| ReturnSkewQF | Bali, Engle and Murray | 2015 | Idiosyncratic skewness (Q model) | Book | Placebo | HXZ variant | continuous | Price | risk | 1967 | 2012 | RetSkewQF |
| CBOperProf | Ball et al. | 2016 | Cash-based operating profitability | JFE | Predictor | t=3.2 in port sort | continuous | Accounting | profitability | 1963 | 2014 | ProfCash |
| CBOperProfLagAT | Ball et al. | 2016 | Cash-based oper prof lagged assets | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2014 | ProfCashLag |
| CBOperProfLagAT_q | Ball et al. | 2016 | Cash-based oper prof lagged assets qtrly | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2014 | ProfCashLagq |
| OperProfRD | Ball et al. | 2016 | Operating profitability R&D adjusted | JFE | Predictor | t=1.8 in port sort | continuous | Accounting | profitability | 1963 | 2014 | OperProfRD |
| OperProfRDLagAT | Ball et al. | 2016 | Oper prof R&D adj lagged assets | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2014 | OperProfRDLag |
| OperProfRDLagAT_q | Ball et al. | 2016 | Oper prof R&D adj lagged assets (qtrly) | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2014 | OperProfRDLagAT_q |
| Size | Banz | 1981 | Size | JFE | Predictor | t=3.1 in long-short | continuous | Price | size | 1926 | 1975 | Size |
| SP | Barbee, Mukherji and Raines | 1996 | Sales-to-price | FAJ | Predictor | t=2.5 in mv reg | continuous | Accounting | valuation | 1979 | 1991 | Rev2Price |
| SP_q | Barbee, Mukherji and Raines | 1996 | Sales-to-price quarterly | FAJ | Placebo | HXZ variant | continuous | Accounting | valuation | 1979 | 1991 | Rev2Priceq |
| ConsRecomm | Barber et al. | 2002 | Consensus Recommendation | JF | Predictor | t=3.2 in port sort nonstandard data | discrete | Analyst | recommendation | 1985 | 1997 | ConsRecomm |
| DownRecomm | Barber et al. | 2002 | Down forecast EPS | JF | Predictor | t>8 in 3-day event study | discrete | Analyst | earnings forecast | 1985 | 1997 | DownRecomm |
| UpRecomm | Barber et al. | 2002 | Up Forecast | JF | Predictor | t>8 in 3-day event study | discrete | Analyst | earnings forecast | 1985 | 1997 | UpRecomm |
| FirmAge | Barry and Brown | 1984 | Firm age based on CRSP | JFE | Predictor | t=2.5 in reg nonstandard data | continuous | Other | info proxy | 1931 | 1980 | FirmAge |
| ChForecastAccrual | Barth and Hutton | 2004 | Change in Forecast and Accrual | RAS | Predictor | p-val < 0.001 in port sort | discrete | Analyst | earnings forecast | 1981 | 1996 | ChFAccrual |
| AccrualsBM | Bartov and Kim | 2004 | Book-to-market and accruals | RFQA | Predictor | t=5.5 in long-short | discrete | Accounting | valuation | 1980 | 1998 | AccrualsBM |
| EP | Basu | 1977 | Earnings-to-Price Ratio | JF | Predictor | monotonic port sort but no LS | continuous | Price | valuation | 1957 | 1971 | EP |
| EPq | Basu | 1977 | Earnings-to-Price Ratio | JF | Placebo | HXZ variant | continuous | Price | valuation | 1963 | 1971 | EPq |
| hire | Bazdresch, Belo and Lin | 2014 | Employment growth | JPE | Predictor | t=5.8 in port sort | continuous | Other | investment alt | 1965 | 2010 | LaborGr |
| InvGrowth | Belo and Lin | 2012 | Inventory Growth | RFS | Predictor | t=6.6 in port sort | continuous | Accounting | profitability | 1965 | 2009 | InvenGr |
| BrandCapital | Belo, Lin and Vitorino | 2014 | Brand capital to assets | RED | Placebo | not studied for predictability | continuous | Accounting | investment alt | 1975 | 2010 | BrandCapital |
| BrandInvest | Belo, Lin and Vitorino | 2014 | Brand capital investment | RED | Predictor | t=2.0 in port sort | continuous | Accounting | investment alt | 1975 | 2010 | BrandInvest |
| Leverage | Bhandari | 1988 | Market leverage | JFE | Predictor | t=3.9 in regression | continuous | Price | leverage | 1952 | 1981 | Leverage |
| Leverage_q | Bhandari | 1988 | Market leverage quarterly | JFE | Placebo | HXZ variant | continuous | Price | leverage | 1952 | 1981 | Leverageq |
| ResidualMomentum | Blitz, Huij and Martens | 2011 | Momentum based on FF3 residuals | JEmpFin | Predictor | t=8 in long-short ff3+ alpha | continuous | Price | momentum | 1930 | 2009 | MomResid |
| ResidualMomentum6m | Blitz, Huij and Martens | 2011 | 6 month residual momentum | JEmpFin | Placebo | HXZ variant | continuous | Price | momentum | 1930 | 2009 | MomRes6m |
| Price | Blume and Husic | 1972 | Price | JF | Predictor | t=3 in regressions | continuous | Price | other | 1932 | 1971 | Price |
| NetPayoutYield | Boudoukh et al. | 2007 | Net Payout Yield | JF | Predictor | t=2.8 in conservative LS, strong port sort | continuous | Price | valuation | 1984 | 2003 | NPayYield |
| NetPayoutYield_q | Boudoukh et al. | 2007 | Net Payout Yield quarterly | JF | Placebo | HXZ variant | continuous | Price | valuation | 1984 | 2003 | NPayYieldq |
| PayoutYield | Boudoukh et al. | 2007 | Payout Yield | JF | Predictor | t=3.9 in conservative LS, strong port sort | continuous | Price | valuation | 1984 | 2003 | PayYield |
| PayoutYield_q | Boudoukh et al. | 2007 | Payout Yield quarterly | JF | Placebo | HXZ variant | continuous | Price | valuation | 1984 | 2003 | PayYieldq |
| NetDebtFinance | Bradshaw, Richardson, Sloan | 2006 | Net debt financing | JAE | Predictor | t=6.9 in port sort | continuous | Accounting | external financing | 1971 | 2000 | NDebtFin |
| NetEquityFinance | Bradshaw, Richardson, Sloan | 2006 | Net equity financing | JAE | Predictor | t=3.8 in port sort | continuous | Accounting | external financing | 1971 | 2000 | NEqFin |
| XFIN | Bradshaw, Richardson, Sloan | 2006 | Net external financing | JAE | Predictor | t=5.7 in port sort | continuous | Accounting | external financing | 1971 | 2000 | ExtFinNet |
| DolVol | Brennan, Chordia, Subra | 1998 | Past trading volume | JFE | Predictor | t=2.9 in regression | continuous | Trading | volume | 1966 | 1995 | VolumeDol |
| roic | Brown and Rowe | 2007 | Return on invested capital | WP | Placebo | t=0.9 in port sort | continuous | Accounting | profitability | 1970 | 2005 | ROIC |
| DelayAcct | Callen, Khan and Lu | 2013 | Accounting component of price delay | CAR | Placebo | t=1 in long-short | continuous | Accounting | lead lag | 1981 | 2006 | DelayAcct |
| DelayNonAcct | Callen, Khan and Lu | 2013 | Non-accounting component of price delay | CAR | Placebo | t=1 in long-short | continuous | Accounting | lead lag | 1981 | 2006 | DelayNonAcct |
| FailureProbability | Campbell, Hilscher and Szilagyi | 2008 | Failure probability | JF | Placebo | t=1.5 in conservative port sort | continuous | Accounting | default risk | 1981 | 2003 | FailurePr |
| FailureProbabilityJune | Campbell, Hilscher and Szilagyi | 2008 | Failure probability | JF | Placebo | HXZ variant | continuous | Accounting | default risk | 1981 | 2003 | FailurePrJune |
| FEPS | Cen, Wei, and Zhang | 2006 | Analyst earnings per share | WP | Predictor | t=2.7 in port sort | continuous | Analyst | profitability | 1983 | 2002 | FEPS |
| MomRev | Chan and Ko | 2006 | Momentum and LT Reversal | JOIM | Predictor | t=4.3 in long-short | discrete | Price | momentum | 1965 | 2001 | MomRev |
| AnnouncementReturn | Chan, Jegadeesh and Lakonishok | 1996 | Earnings announcement return | JF | Predictor | t=9.3 in regression | continuous | Price | earnings event | 1977 | 1992 | AnnounRet |
| REV6 | Chan, Jegadeesh and Lakonishok | 1996 | Earnings forecast revisions | JF | Predictor | t=4.1 in regression | continuous | Analyst | earnings forecast | 1977 | 1992 | EPSrevise |
| AdExp | Chan, Lakonishok and Sougiannis | 2001 | Advertising Expense | JF | Predictor | 53 bps spread but no t-stat | continuous | Accounting | R&D | 1975 | 1996 | AdExp |
| RD | Chan, Lakonishok and Sougiannis | 2001 | R&D over market cap | JF | Predictor | strong port sort | continuous | Accounting | R&D | 1975 | 1995 | RD |
| RD_q | Chan, Lakonishok and Sougiannis | 2001 | R&D over market cap quarterly | JF | Placebo | HXZ variant | continuous | Accounting | R&D | 1975 | 1995 | RDq |
| rd_sale | Chan, Lakonishok and Sougiannis | 2001 | R&D to sales | JF | Placebo | 8 bps spread in port sort | continuous | Accounting | investment alt | 1975 | 1995 | rd_sale |
| rd_sale_q | Chan, Lakonishok and Sougiannis | 2001 | R&D to sales | JF | Placebo | HXZ variant | continuous | Accounting | R&D | 1975 | 1995 | rd_sale_q |
| CashProd | Chandrashekar and Rao | 2009 | Cash Productivity | WP | Predictor | t=3.6 in regression | continuous | Accounting | profitability alt | 1963 | 2003 | CashProd |
| invest | Chen and Zhang | 2010 | Capex and Inventory Change | JF, but retracted | Drop | drop | continuous | Accounting | investment | 1972 | 2006 | invest |
| DelBreadth | Chen, Hong and Stein | 2002 | Breadth of ownership | JFE | Predictor | t=4.0 in port sort | continuous | 13F | ownership | 1979 | 1998 | DelBreadth |
| std_turn | Chordia, Subra, Anshuman | 2001 | Share turnover volatility | JFE | Predictor | t=3.7 in regression | continuous | Trading | liquidity | 1966 | 1995 | TurnovVol |
| VolSD | Chordia, Subra, Anshuman | 2001 | Volume Variance | JFE | Predictor | t=3.6 in regression | continuous | Trading | liquidity | 1966 | 1995 | VolumeSD |
| CustomerMomentum | Cohen and Frazzini | 2008 | Customer momentum | JF | Predictor | t=3.8 in port sort | continuous | Other | lead lag | 1980 | 2004 | MomCust |
| retConglomerate | Cohen and Lou | 2012 | Conglomerate return | JFE | Predictor | t=5.5 in port sort | continuous | Price | lead lag | 1977 | 2009 | RetConglomerate |
| RDAbility | Cohen, Diether and Malloy | 2013 | R&D ability | RFS | Predictor | t=2.6 in double sort | continuous | Accounting | other | 1980 | 2009 | RDAbility |
| AssetGrowth | Cooper, Gulen and Schill | 2008 | Asset growth | JF | Predictor | t=8.5 in port sort | continuous | Accounting | investment | 1968 | 2003 | InvestAG |
| AssetGrowth_q | Cooper, Gulen and Schill | 2008 | Asset growth quarterly | JF | Placebo | HXZ variant | continuous | Accounting | investment | 1968 | 2003 | InvestAGq |
| Activism1 | Cremers and Nair | 2005 | Takeover vulnerability | JF | Predictor | t=3.1 in port sort | continuous | 13F | other | 1990 | 2001 | Activism1 |
| Activism2 | Cremers and Nair | 2005 | Active shareholders | JF | Predictor | t=2.0 in port sort | continuous | 13F | ownership | 1990 | 2001 | Activism2 |
| Spinoff | Cusatis, Miles and Woolridge | 1993 | Spinoffs | JFE | Predictor | t=2.3 in event study | discrete | Event | other | 1965 | 1988 | Spinoff |
| EarningsForecastDisparity | Da and Warachka | 2011 | Long-vs-short EPS forecasts | JFE | Predictor | t=5.1 in LS port | continuous | Analyst | earnings forecast | 1983 | 2006 | LT_ST_EPS |
| CompEquIss | Daniel and Titman | 2006 | Composite equity issuance | JF | Predictor | t=4.4 in mv reg | continuous | Accounting | external financing | 1968 | 2003 | CompEquIss |
| IntanBM | Daniel and Titman | 2006 | Intangible return using BM | JF | Predictor | t=4.0 in mv reg | continuous | Accounting | long term reversal | 1968 | 2003 | IntanBM |
| IntanCFP | Daniel and Titman | 2006 | Intangible return using CFtoP | JF | Predictor | t=4.9 in mv reg | continuous | Accounting | long term reversal | 1968 | 2003 | IntanCFP |
| IntanEP | Daniel and Titman | 2006 | Intangible return using EP | JF | Predictor | t=4.6 in mv reg | continuous | Accounting | long term reversal | 1968 | 2003 | IntanEP |
| IntanSP | Daniel and Titman | 2006 | Intangible return using Sale2P | JF | Predictor | t=4.3 in mv reg | continuous | Accounting | long term reversal | 1968 | 2003 | IntanSP |
| ShareIss5Y | Daniel and Titman | 2006 | Share issuance (5 year) | JF | Predictor | t=4.4 in univar reg | continuous | Accounting | external financing | 1968 | 2003 | ShareIs1 |
| ShareVol | Datar, Naik and Radcliffe | 1998 | Share Volume | JFM | Predictor | t=8.9 in univariate reg | discrete | Trading | volume | 1962 | 1991 | VolumeShare |
| LRreversal | De Bondt and Thaler | 1985 | Long-run reversal | JF | Predictor | t=3.3 in long-short | continuous | Price | long term reversal | 1929 | 1982 | Mom36m |
| MRreversal | De Bondt and Thaler | 1985 | Medium-run reversal | JF | Predictor | large ret in similar long-short | continuous | Price | long term reversal | 1933 | 1980 | Mom1813 |
| ShortInterest | Dechow et al. | 2001 | Short Interest | JFE | Predictor | 35 bps spread in port sort | continuous | Other | short sale constraints | 1976 | 1993 | ShortInterest |
| EquityDuration | Dechow, Sloan and Soliman | 2004 | Equity Duration | RAS | Predictor | t=4.4 in conservative long-short | continuous | Price | valuation | 1962 | 1998 | Duration |
| cfp | Desai, Rajgopal, Venkatachalam | 2004 | Operating Cash flows to price | AR | Predictor | t=2.77 in port sort | continuous | Accounting | valuation | 1973 | 1997 | CFOper2Price |
| cfpq | Desai, Rajgopal, Venkatachalam | 2004 | Operating Cash flows to price quarterly | AR | Placebo | HXZ variant | continuous | Accounting | valuation | 1973 | 1997 | CFOper2Priceq |
| ExchSwitch | Dharan and Ikenberry | 1995 | Exchange Switch | JF | Predictor | t = 3.6 in event study | discrete | Event | other | 1962 | 1990 | ExchSwitch |
| OScore | Dichev | 1998 | O Score | JFE | Predictor | t=3.36 in LS port | discrete | Accounting | default risk | 1981 | 1995 | OScore |
| OScore_q | Dichev | 1998 | O Score quarterly | JFE | Placebo | HXZ variant | discrete | Accounting | default risk | 1981 | 1995 | OScoreq |
| ZScore | Dichev | 1998 | Altman Z-Score | JFE | Placebo | t=1.59 in univar reg | continuous | Accounting | default risk | 1981 | 1995 | ZScore |
| ZScore_q | Dichev | 1998 | Altman Z-Score quarterly | JFE | Placebo | HXZ variant | continuous | Accounting | default risk | 1981 | 1995 | ZScoreq |
| CredRatDG | Dichev and Piotroski | 2001 | Credit Rating Downgrade | JF | Predictor | t=11 in event study w/ special data | discrete | Event | other | 1986 | 1998 | CredRatDG |
| ForecastDispersion | Diether, Malloy and Scherbina | 2002 | EPS Forecast Dispersion | JF | Predictor | t=2.9 in port sort | continuous | Analyst | volatility | 1976 | 2000 | EPSDisp |
| BetaDimson | Dimson | 1979 | Dimson Beta | JFE | Placebo | only shown to forecast beta | continuous | Price | market risk | 1955 | 1974 | BetaDimson |
| ExclExp | Doyle, Lundholm and Soliman | 2003 | Excluded Expenses | RAS | Predictor | t=5.7 in mv reg | continuous | Analyst | composite accounting | 1988 | 1999 | ExcludExp |
| ProbInformedTrading | Easley, Hvidkjaer and O'Hara | 2002 | Probability of Informed Trading | JF | Predictor | t=2.5 in mv reg | continuous | Trading | liquidity | 1984 | 1998 | PIN |
| SurpriseRD | Eberhart, Maxwell and Siddique | 2004 | Unexpected R&D increase | JF | Predictor | t=3.5 in long-short | discrete | Event | R&D | 1974 | 2001 | SurpriseRD |
| OrgCap | Eisfeldt and Papanikolaou | 2013 | Organizational capital | JF | Predictor | t=2.9 in port sort | continuous | Accounting | R&D | 1970 | 2008 | OrgCap |
| OrgCapNoAdj | Eisfeldt and Papanikolaou | 2013 | Org cap w/o industry adjustment | JF | Placebo | HXZ variant | continuous | Accounting | R&D | 1970 | 2008 | OrgCapNoAdj |
| nanalyst | Elgers, Lo and Pfeiffer | 2001 | Number of analysts | AR | Placebo | spread in median ret each leg size adj | continuous | Analyst | info proxy | 1982 | 1998 | nanalyst |
| sfe | Elgers, Lo and Pfeiffer | 2001 | Earnings Forecast to price | AR | Predictor | t=5 in long-short size adjusted | continuous | Analyst | valuation | 1982 | 1998 | EPforecast |
| GrLTNOA | Fairfield, Whisenant and Yohn | 2003 | Growth in long term operating assets | AR | Predictor | 61 bps spread in long-short | continuous | Accounting | investment | 1964 | 1993 | LTNOAgr |
| AM | Fama and French | 1992 | Total assets to market | JF | Predictor | t=5.7 in univar reg | continuous | Accounting | valuation | 1963 | 1990 | AM |
| AMq | Fama and French | 1992 | Total assets to market (quarterly) | JF | Placebo | HXZ variant | continuous | Accounting | valuation | 1975 | 1990 | AMq |
| BMdec | Fama and French | 1992 | Book to market using December ME | JPM | Predictor | t=5.71 in univariate reg | continuous | Accounting | valuation | 1963 | 1990 | BMdec |
| BookLeverage | Fama and French | 1992 | Book leverage (annual) | JF | Predictor | t=5.3 in mv reg | continuous | Accounting | leverage | 1963 | 1990 | BookLev |
| BookLeverageQuarterly | Fama and French | 1992 | Book leverage (quarterly) | JF | Placebo | HXZ variant | continuous | Accounting | leverage | 1973 | 1990 | BookLevq |
| OperProf | Fama and French | 2006 | operating profits / book equity | JFE | Predictor | t=2.6 in mv reg | continuous | Accounting | profitability | 1977 | 2003 | ProfOper |
| OperProfLag | Fama and French | 2006 | operating profits / book equity | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1977 | 2003 | ProfOperLag |
| OperProfLag_q | Fama and French | 2006 | operating profits / book equity | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1977 | 2003 | ProfOperLagq |
| Beta | Fama and MacBeth | 1973 | CAPM beta | JPE | Predictor | t=2.6 univar reg | continuous | Price | risk | 1929 | 1968 | Beta |
| BetaSquared | Fama and MacBeth | 1973 | CAPM beta squred | JPE | Placebo | t=0.3 in mv reg | continuous | Price | other | 1929 | 1968 | BetaSquared |
| EarningsSurprise | Foster, Olsen and Shevlin | 1984 | Earnings Surprise | AR | Predictor | huge spread in event study | continuous | Analyst | earnings growth | 1974 | 1981 | EarnSurp |
| AccrualQuality | Francis, LaFond, Olsson, Schipper | 2005 | Accrual Quality | JAE | Placebo | correlated with E/P and factor structure | continuous | Accounting | accruals | 1971 | 2002 | AccrualQuality |
| AccrualQualityJune | Francis, LaFond, Olsson, Schipper | 2005 | Accrual Quality in June | JAE | Placebo | HXZ variant | continuous | Accounting | accruals | 1971 | 2002 | AccrualQualityJune |
| EarningsConservatism | Francis, LaFond, Olsson, Schipper | 2004 | Earnings conservatism | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsConservatism |
| EarningsPersistence | Francis, LaFond, Olsson, Schipper | 2004 | Earnings persistence | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsPersistence |
| EarningsPredictability | Francis, LaFond, Olsson, Schipper | 2004 | Earnings Predictability | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsPredictability |
| EarningsSmoothness | Francis, LaFond, Olsson, Schipper | 2004 | Earnings Smoothness | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsSmoothness |
| EarningsTimeliness | Francis, LaFond, Olsson, Schipper | 2004 | Earnings timeliness | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsTimeliness |
| EarningsValueRelevance | Francis, LaFond, Olsson, Schipper | 2004 | Value relevance of earnings | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | other | 1975 | 2001 | EarningsValueRelevance |
| roavol | Francis, LaFond, Olsson, Schipper | 2004 | RoA volatility | AR | Placebo | correlated with BM and other predictors | continuous | Accounting | cash flow risk | 1975 | 2001 | roavol |
| AnalystValue | Frankel and Lee | 1998 | Analyst Value | JAE | Predictor | p<0.01 in port sort but nonstandard stats | continuous | Analyst | valuation | 1975 | 1993 | AnalystValue |
| AOP | Frankel and Lee | 1998 | Analyst Optimism | JAE | Predictor | p<0.01 in port sort but nonstandard stats | continuous | Analyst | other | 1975 | 1993 | AOP |
| IntrinsicValue | Frankel and Lee | 1998 | Intrinsic or historical value | JAE | Placebo | not studied. Ingredient variable. | continuous | Price | valuation | 1975 | 1993 | IntrinsicValue |
| PredictedFE | Frankel and Lee | 1998 | Predicted Analyst forecast error | JAE | Predictor | p<0.01 in reg but nonstandard stats | continuous | Accounting | earnings forecast | 1979 | 1993 | EPSforeErr |
| FR | Franzoni and Marin | 2006 | Pension Funding Status | JF | Predictor | 49 bps long-short | continuous | Accounting | composite accounting | 1980 | 2002 | PensionFunding |
| FRbook | Franzoni and Marin | 2006 | Pension Funding Status | JF | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1980 | 2002 | PensionFundBook |
| BetaFP | Frazzini and Pedersen | 2014 | Frazzini-Pedersen Beta | JFE | Predictor | t=7 in nonstandard port sort | continuous | Price | other | 1929 | 2012 | BetaFP |
| High52 | George and Hwang | 2004 | 52 week high | JF | Predictor | t=2.0 in long-short | continuous | Price | momentum | 1963 | 2001 | High52 |
| Governance | Gompers, Ishii and Metrick | 2003 | Governance Index | QJE | Predictor | t=2.7 in long short FF3 alpha | discrete | Other | other | 1990 | 1999 | Governance |
| RDIPO | Gou, Lev and Shi | 2006 | IPO and no R&D spending | JBFA | Predictor | t=2.68 in port sort FF3+Mom alpha | discrete | Event | R&D | 1980 | 1995 | RDIPO |
| IndMom | Grinblatt and Moskowitz | 1999 | Industry Momentum | JFE | Predictor | t=4.6 in long-short | continuous | Price | momentum | 1963 | 1995 | IndMom |
| AbnormalAccrualsPercent | Hafzalla, Lundholm, Van Winkle | 2011 | Percent Abnormal Accruals | AR | Placebo | HXZ variant | continuous | Accounting | accruals | 1989 | 2008 | AbnAccrPct |
| PctAcc | Hafzalla, Lundholm, Van Winkle | 2011 | Percent Operating Accruals | AR | Predictor | t>2.6 in size-adjusted long-short | continuous | Accounting | accruals | 1989 | 2008 | AccrOper |
| PctTotAcc | Hafzalla, Lundholm, Van Winkle | 2011 | Percent Total Accruals | AR | Predictor | t>2.6 in size-adjusted long-short | continuous | Accounting | accruals | 1989 | 2008 | AccrPct |
| tang | Hahn and Lee | 2009 | Tangibility | JF | Predictor | t=3.37 in univariate FMB | continuous | Accounting | asset composition | 1973 | 2001 | Tangibility |
| tang_q | Hahn and Lee | 2009 | Tangibility quarterly | JF | Placebo | HXZ variant | continuous | Accounting | asset composition | 1973 | 2001 | Tangibilityq |
| DivSeason | Hartzmark and Salomon | 2013 | Dividend seasonality | JFE | Predictor | t=16 in long-short | discrete | Event | payout indicator | 1927 | 2011 | DivSeason |
| Coskewness | Harvey and Siddique | 2000 | Coskewness | JF | Predictor | p-val<0.05 in long-short | continuous | Price | risk | 1964 | 1993 | Coskew |
| CapTurnover | Haugen and Baker | 1996 | Capital turnover | JFE | Placebo | t<2 in mv reg nonstandard | continuous | Accounting | turnover | 1979 | 1993 | CapTurn |
| CapTurnover_q | Haugen and Baker | 1996 | Capital turnover (quarterly) | JFE | Placebo | HXZ variant | continuous | Accounting | turnover | 1979 | 1993 | CapTurnq |
| RoE | Haugen and Baker | 1996 | net income / book equity | JFE | Predictor | t=4.5 in mv reg nonstandard | continuous | Accounting | profitability | 1979 | 1993 | RoE |
| VarCF | Haugen and Baker | 1996 | Cash-flow to price variance | JFE | Predictor | t=2.5 in mv reg nonstandard | continuous | Accounting | cash flow risk | 1979 | 1993 | CF2Pvar |
| VolMkt | Haugen and Baker | 1996 | Volume to market equity | JFE | Predictor | t=4 in mv reg nonstandard | continuous | Trading | volume | 1979 | 1993 | Volume2Mkt |
| VolumeTrend | Haugen and Baker | 1996 | Volume Trend | JFE | Predictor | t=3 in mv reg nonstandard | continuous | Trading | volume | 1979 | 1993 | VolumeTrend |
| AnalystRevision | Hawkins, Chamberlin, Daniel | 1984 | EPS forecast revision | FAJ | Predictor | t=3.2 in long only CAPM alpha | continuous | Analyst | earnings forecast | 1975 | 1980 | AnalystRevision |
| Mom12mOffSeason | Heston and Sadka | 2008 | Momentum without the seasonal part | JFE | Predictor | t=4 in port sort | continuous | Price | other | 1965 | 2002 | Mom12mOffSeason |
| MomOffSeason | Heston and Sadka | 2008 | Off season long-term reversal | JFE | Predictor | t=5.6 in port sort | continuous | Price | other | 1965 | 2002 | MomOffSeason |
| MomOffSeason06YrPlus | Heston and Sadka | 2008 | Off season reversal years 6 to 10 | JFE | Predictor | t=4.6 in port sort | continuous | Price | other | 1965 | 2002 | MomOffSeason6YrPlus |
| MomOffSeason11YrPlus | Heston and Sadka | 2008 | Off season reversal years 11 to 15 | JFE | Predictor | t=1.8 in port sort, but similar strats do better | continuous | Price | other | 1965 | 2002 | MomOffSeason11YrPlus |
| MomOffSeason16YrPlus | Heston and Sadka | 2008 | Off season reversal years 16 to 20 | JFE | Predictor | t=3.4 in port sort | continuous | Price | other | 1965 | 2002 | MomOffSeason16YrPlus |
| MomSeason | Heston and Sadka | 2008 | Return seasonality years 2 to 5 | JFE | Predictor | t=5 in port sort | continuous | Price | other | 1965 | 2002 | MomSeason |
| MomSeason06YrPlus | Heston and Sadka | 2008 | Return seasonality years 6 to 10 | JFE | Predictor | t=6.1 in port sort | continuous | Price | other | 1965 | 2002 | MomSeason06YrPlus |
| MomSeason11YrPlus | Heston and Sadka | 2008 | Return seasonality years 11 to 15 | JFE | Predictor | t=6.4 in port sort | continuous | Price | other | 1965 | 2002 | MomSeason11YrPlus |
| MomSeason16YrPlus | Heston and Sadka | 2008 | Return seasonality years 16 to 20 | JFE | Predictor | t=4.5 in port sort | continuous | Price | other | 1965 | 2002 | MomSeason16YrPlus |
| MomSeasonShort | Heston and Sadka | 2008 | Return seasonality last year | JFE | Predictor | t=7.6 in port sort | continuous | Price | other | 1965 | 2002 | MomSeasonShort |
| CitationsRD | Hirschleifer, Hsu and Li | 2013 | Citations to RD expenses | JFE | Predictor | t=2.6 in FF3 style long-short | discrete | Other | profitability alt | 1982 | 2008 | CitationsRD |
| PatentsRD | Hirschleifer, Hsu and Li | 2013 | Patents to RD expenses | JFE | Predictor | t=4.1 in FF3 style long-short | discrete | Other | profitability alt | 1982 | 2008 | PatentsRD |
| NOA | Hirshleifer et al. | 2004 | Net Operating Assets | JAE | Predictor | t=8.5 in long-short | continuous | Accounting | asset composition | 1964 | 2002 | NOA |
| dNoa | Hirshleifer, Hou, Teoh, Zhang | 2004 | change in net operating assets | JAE | Predictor | t=8.9 in mv reg | continuous | Accounting | investment | 1964 | 2002 | dNoa |
| depr | Holthausen and Larcker | 1992 | Depreciation to PPE | JAE | Placebo | ingredient in complicated model | continuous | Accounting | other | 1978 | 1988 | depr |
| pchdepr | Holthausen and Larcker | 1992 | Change in depreciation to PPE | JAE | Placebo | ingredient in complicated model | continuous | Accounting | investment alt | 1978 | 1988 | DepGr |
| sinAlgo | Hong and Kacperczyk | 2009 | Sin Stock (selection criteria) | JFE | Predictor | t-stat = 1.8 in LS nontraditional | discrete | Other | other | 1926 | 2006 | SinStock |
| sinOrig | Hong and Kacperczyk | 2009 | Sin Stock (original list) | JFE | Drop | 9_drop | NA | Other | other | 1926 | 2006 | sinOrig |
| EarnSupBig | Hou | 2007 | Earnings surprise of big firms | RFS | Predictor | t=9 in mv reg weekly | continuous | Accounting | lead lag | 1972 | 2001 | EarnSupBig |
| IndRetBig | Hou | 2007 | Industry return of big firms | RFS | Predictor | t=11 in mv reg | continuous | Price | lead lag | 1972 | 2001 | IndRetBig |
| BidAskTAQ | Hou and Loh | 2016 | Bid-ask spread (TAQ) | JFE | Placebo | t=1.3 in mv reg | continuous | Trading | liquidity | 1984 | 2012 | BidAskTAQ |
| PriceDelayRsq | Hou and Moskowitz | 2005 | Price delay r square | RFS | Predictor | t =3.4 in port sort char adj | continuous | Price | lead lag | 1964 | 2001 | PriceDelayRsq |
| PriceDelaySlope | Hou and Moskowitz | 2005 | Price delay coeff | RFS | Predictor | t =7.7 in port sort w/ complicated signal | continuous | Price | lead lag | 1964 | 2001 | PriceDelay |
| PriceDelayTstat | Hou and Moskowitz | 2005 | Price delay SE adjusted | RFS | Predictor | t =7.39 in port sort w/ complicated signal | continuous | Price | lead lag | 1964 | 2001 | PriceDelayAdj |
| Herf | Hou and Robinson | 2006 | Industry concentration (sales) | JF | Predictor | t = 2.14 in port sort | continuous | Other | other | 1963 | 2001 | Herf |
| HerfAsset | Hou and Robinson | 2006 | Industry concentration (assets) | JF | Predictor | t = 2.12 in characteristics-adjusted port sort | continuous | Other | other | 1963 | 2001 | HerfAsset |
| HerfBE | Hou and Robinson | 2006 | Industry concentration (equity) | JF | Predictor | t = 2.52 in characteristics-adjusted port sort | continuous | Other | other | 1963 | 2001 | HerfBE |
| ShareRepurchase | Ikenberry, Lakonishok, Vermaelen | 1995 | Share repurchases | JFE | Predictor | t=1.85 in long - benchmark port | discrete | Event | payout indicator | 1980 | 1990 | ShareRepurchase |
| STreversal | Jegadeesh | 1989 | Short term reversal | JF | Predictor | t=12 in port sort | continuous | Price | short-term reversal | 1934 | 1987 | Mom1m |
| RevenueSurprise | Jegadeesh and Livnat | 2006 | Revenue Surprise | JFE | Predictor | t>2.6 in many event studies | continuous | Accounting | sales growth | 1987 | 2003 | RevSurprise |
| Mom12m | Jegadeesh and Titman | 1993 | Momentum (12 month) | JF | Predictor | t=3.7 long-short | continuous | Price | momentum | 1964 | 1989 | Mom12m |
| Mom6m | Jegadeesh and Titman | 1993 | Momentum (6 month) | JF | Predictor | t=2.4 long-short | continuous | Price | momentum | 1964 | 1989 | Mom6m |
| ChangeInRecommendation | Jegadeesh et al. | 2004 | Change in recommendation | JF | Predictor | p<0.01 in LS port, but we lack the data | continuous | Analyst | recommendation | 1985 | 1998 | ChRecomm |
| OptionVolume1 | Johnson and So | 2012 | Option to stock volume | JFE | Predictor | t = 3.45 in port sort CAPM alpha weekly | continuous | Trading | volume | 1996 | 2010 | OptVol |
| OptionVolume2 | Johnson and So | 2012 | Option volume to average | JFE | Predictor | t = 2.5 in port sort CAPM alpha weekly data | continuous | Trading | volume | 1996 | 2010 | OptVolGr |
| BetaTailRisk | Kelly and Jiang | 2014 | Tail risk beta | RFS | Predictor | Tab4A t-stat 2.48 | continuous | Price | risk | 1963 | 2010 | BetaTailRisk |
| fgr5yrLag | La Porta | 1996 | Long-term EPS forecast | JF | Predictor | t=4.9 in regression | continuous | Analyst | earnings forecast | 1983 | 1990 | EPSForeLTlag |
| fgr5yrNoLag | La Porta | 1996 | Long-term EPS forecast (Monthly) | JF | Placebo | HXZ variant | continuous | Analyst | earnings forecast | 1983 | 1990 | EPSForeLT |
| CF | Lakonishok, Shleifer, Vishny | 1994 | Cash flow to market | JF | Predictor | t=3.4 in port sort | continuous | Accounting | valuation | 1968 | 1990 | CF2Price |
| CFq | Lakonishok, Shleifer, Vishny | 1994 | Cash flow to market quarterly | JF | Placebo | HXZ variant | continuous | Accounting | valuation | 1968 | 1990 | CFq |
| MeanRankRevGrowth | Lakonishok, Shleifer, Vishny | 1994 | Revenue Growth Rank | JF | Predictor | t=4.5 in double sort | continuous | Accounting | sales growth | 1968 | 1990 | RevGrowth |
| sgr | Lakonishok, Shleifer, Vishny | 1994 | Annual sales growth | JF | Placebo | HXZ variant | continuous | Accounting | sales growth | 1968 | 1990 | sgr |
| sgr_q | Lakonishok, Shleifer, Vishny | 1994 | Annual sales growth quarterly | JF | Placebo | HXZ variant | continuous | Accounting | sales growth | 1968 | 1990 | sgr_q |
| KZ | Lamont, Polk and Saa-Requejo | 2001 | Kaplan Zingales index | RFS | Placebo | t=1.1 in conservative port sort | continuous | Accounting | composite accounting | 1968 | 1997 | KZ |
| KZ_q | Lamont, Polk and Saa-Requejo | 2001 | Kaplan Zingales index quarterly | RFS | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1968 | 1997 | KZ_q |
| RDS | Landsman et al. | 2011 | Real dirty surplus | AR | Predictor | t=5.8 in port sort | continuous | Accounting | composite accounting | 1976 | 2003 | RDirtSurp |
| MomVol | Lee and Swaminathan | 2000 | Momentum in high volume stocks | JF | Predictor | t=6 in long-short, lots of robustness | discrete | Price | momentum | 1965 | 1995 | MomVol |
| Tax | Lev and Nissim | 2004 | Taxable income to income | AR | Predictor | t=3.9 in regression | continuous | Accounting | other | 1973 | 2000 | Tax2E |
| Tax_q | Lev and Nissim | 2004 | Taxable income to income (qtrly) | AR | Placebo | HXZ variant | continuous | Accounting | other | 1973 | 2000 | Tax_q |
| RDcap | Li | 2011 | R&D capital-to-assets | RFS | Predictor | t=2.6 in long-short | continuous | Accounting | asset composition | 1980 | 2007 | RDcap |
| DivYieldST | Litzenberger and Ramaswamy | 1979 | Predicted div yield next month | JF | Predictor | t=6 in mv reg | discrete | Accounting | valuation | 1936 | 1977 | DivYieldST |
| zerotrade | Liu | 2006 | Days with zero trades | JFE | Predictor | t=4.1 in port sort | continuous | Trading | liquidity | 1960 | 2003 | ZeroTrade |
| zerotradeAlt1 | Liu | 2006 | Days with zero trades | JFE | Predictor | t = 3.46 in port sort (12m holding) | continuous | Trading | liquidity | 1960 | 2003 | zerotradeAlt1 |
| zerotradeAlt12 | Liu | 2006 | Days with zero trades | JFE | Predictor | t > 4 in port sort (diff holding periods) | continuous | Trading | liquidity | 1960 | 2003 | zerotradeAlt12 |
| ChEQ | Lockwood and Prombutr | 2010 | Growth in book equity | JFR | Predictor | t=5.38 in EW port sort | continuous | Accounting | investment | 1964 | 2007 | BEgrowth |
| EarningsStreak | Loh and Warachka | 2012 | Earnings surprise streak | MS | Predictor | t=9.5 in port sort ff3 alpha | continuous | Accounting | earnings growth | 1987 | 2009 | EarnStreak |
| NumEarnIncrease | Loh and Warachka | 2012 | Earnings streak length | MS | Predictor | similar results in port sorts but not exact | continuous | Accounting | earnings growth | 1987 | 2009 | NumEarnIncrease |
| GrAdExp | Lou | 2014 | Growth in advertising expenses | RFS | Predictor | t=3.5 in long-short | continuous | Accounting | investment alt | 1974 | 2010 | AdExpGr |
| EntMult | Loughran and Wellman | 2011 | Enterprise Multiple | JFQA | Predictor | t=6.54 in decile sort CAPM alpha | continuous | Accounting | valuation | 1963 | 2009 | EntMult |
| EntMult_q | Loughran and Wellman | 2011 | Enterprise Multiple quarterly | JFQA | Placebo | HXZ variant | continuous | Accounting | valuation | 1963 | 2009 | EntMult_q |
| CompositeDebtIssuance | Lyandres, Sun and Zhang | 2008 | Composite debt issuance | RFS | Predictor | t=8.59 in port sort CAPM alpha | continuous | Accounting | external financing | 1970 | 2005 | DebtFinC |
| InvestPPEInv | Lyandres, Sun and Zhang | 2008 | change in ppe and inv/assets | RFS | Predictor | t=7 in long-short port | continuous | Accounting | investment | 1970 | 2005 | InvestPPEInv |
| iomom_cust | Menzly and Ozbas | 2010 | Customers momentum | JF | Predictor | t=2.6 in industry port sort | discrete | Other | lead lag | 1986 | 2005 | iomom_cust |
| iomom_supp | Menzly and Ozbas | 2010 | Suppliers momentum | JF | Predictor | t=3.4 in industry port sort | discrete | Other | lead lag | 1986 | 2005 | iomom_supp |
| DivInit | Michaely, Thaler and Womack | 1995 | Dividend Initiation | JF | Predictor | t=3.4 in event study | discrete | Event | payout indicator | 1964 | 1988 | DivInit |
| DivOmit | Michaely, Thaler and Womack | 1995 | Dividend Omission | JF | Predictor | t=6 in event study | discrete | Event | payout indicator | 1964 | 1988 | DivOmit |
| MS | Mohanram | 2005 | Mohanram G-score | RAS | Predictor | t=9 in port sort nonstandard data lag | discrete | Accounting | composite accounting | 1978 | 2001 | Mscore |
| RIO_Disp | Nagel | 2005 | Inst Own and Forecast Dispersion | JF | Predictor | t = 2.47 in conditional sort | discrete | 13F | short sale constraints | 1980 | 2003 | RIO_Disp |
| RIO_MB | Nagel | 2005 | Inst Own and Market to Book | JF | Predictor | t = 4.91 in conditional sort | discrete | 13F | short sale constraints | 1980 | 2003 | RIO_MB |
| RIO_Turnover | Nagel | 2005 | Inst Own and Turnover | JF | Predictor | t = 2.71 in conditional sort | discrete | 13F | short sale constraints | 1980 | 2003 | RIO_Turnover |
| RIO_Volatility | Nagel | 2005 | Inst Own and Idio Vol | JF | Predictor | t = 4.38 in conditional sort | discrete | 13F | short sale constraints | 1980 | 2003 | RIO_IdioRisk |
| DivYield | Naranjo, Nimalendran, Ryngaert | 1998 | Dividend yield for small stocks | JF | Placebo | mixed results, small spread | continuous | Accounting | valuation | 1963 | 1994 | DivYield |
| DivYieldAnn | Naranjo, Nimalendran, Ryngaert | 1998 | Last year's dividends over price | NA | Placebo | HXZ variant | continuous | Accounting | valuation | 1963 | 1994 | DivYieldAnn |
| Frontier | Nguyen and Swanson | 2009 | Efficient frontier index | JFQA | Predictor | t=5 in port sort | continuous | Accounting | valuation | 1980 | 2003 | EffFrontier |
| GP | Novy-Marx | 2013 | gross profits / total assets | JFE | Predictor | t=2.5 in VW LS quint | continuous | Accounting | profitability | 1963 | 2010 | ProfGross |
| GPlag | Novy-Marx | 2013 | gross profits / total assets | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2010 | GPlag |
| GPlag_q | Novy-Marx | 2013 | gross profits / total assets | JFE | Placebo | HXZ variant | continuous | Accounting | profitability | 1963 | 2010 | GPlag_q |
| IntMom | Novy-Marx | 2012 | Intermediate Momentum | JFE | Predictor | Tab2 t-stat 5.79 | continuous | Price | momentum | 1927 | 2010 | Mom12to7 |
| OPLeverage | Novy-Marx | 2010 | Operating leverage | ROF | Predictor | t=3.38 in port sort | continuous | Accounting | other | 1963 | 2008 | OperLeverage |
| OPLeverage_q | Novy-Marx | 2010 | Operating leverage (qtrly) | ROF | Placebo | HXZ variant | continuous | Accounting | other | 1963 | 2008 | OPLeverage_q |
| AssetLiquidityBook | Ortiz-Molina and Phillips | 2014 | Asset liquidity over book assets | JFQA | Placebo | no predictability. Correlated with ICC | continuous | Accounting | asset composition | 1984 | 2006 | AssetLiquidityBook |
| AssetLiquidityBookQuart | Ortiz-Molina and Phillips | 2014 | Asset liquidity over book (qtrly) | JFQA | Placebo | HXZ variant | continuous | Accounting | asset composition | 1984 | 2006 | AssetLiquidityBookQuart |
| AssetLiquidityMarket | Ortiz-Molina and Phillips | 2014 | Asset liquidity over market | JFQA | Placebo | no predictability. Correlated with ICC | continuous | Accounting | asset composition | 1984 | 2006 | AssetLiquidityMarket |
| AssetLiquidityMarketQuart | Ortiz-Molina and Phillips | 2014 | Asset liquidity over market (qtrly) | JFQA | Placebo | HXZ variant | continuous | Accounting | asset composition | 1984 | 2006 | AssetLiquidityMarketQuart |
| cashdebt | Ou and Penman | 1989 | CF to debt | JAR | Placebo | ingredient in complicated model | continuous | Accounting | profitability alt | 1973 | 1983 | cashdebt |
| currat | Ou and Penman | 1989 | Current Ratio | JAR | Placebo | ingredient in complicated model | continuous | Accounting | asset composition | 1973 | 1983 | currat |
| pchcurrat | Ou and Penman | 1989 | Change in Current Ratio | JAR | Placebo | ingredient in complicated model | continuous | Accounting | investment alt | 1973 | 1983 | pchcurrat |
| pchquick | Ou and Penman | 1989 | Change in quick ratio | JAR | Placebo | ingredient in complicated model | continuous | Accounting | investment alt | 1973 | 1983 | pchquick |
| pchsaleinv | Ou and Penman | 1989 | Change in sales to inventory | JAR | Placebo | ingredient in complicated model | continuous | Accounting | profitability alt | 1973 | 1983 | pchsaleinv |
| quick | Ou and Penman | 1989 | Quick ratio | JAR | Placebo | ingredient in complicated model | continuous | Accounting | asset composition | 1973 | 1983 | quick |
| salecash | Ou and Penman | 1989 | Sales to cash ratio | JAR | Placebo | ingredient in complicated model | continuous | Accounting | profitability alt | 1973 | 1983 | salecash |
| saleinv | Ou and Penman | 1989 | Sales to inventory | JAR | Placebo | ingredient in complicated model | continuous | Accounting | profitability alt | 1973 | 1983 | saleinv |
| salerec | Ou and Penman | 1989 | Sales to receivables | JAR | Placebo | ingredient in complicated model | continuous | Accounting | profitability alt | 1973 | 1983 | salerec |
| Cash | Palazzo | 2012 | Cash to assets | JFE | Predictor | t=2.14 in port sort but strong with adjustments | continuous | Accounting | asset composition | 1972 | 2009 | Cash |
| BetaLiquidityPS | Pastor and Stambaugh | 2003 | Pastor-Stambaugh liquidity beta | JPE | Predictor | t=2.54 in VW port sort CAPM alpha | continuous | Price | liquidity | 1968 | 1999 | BetaLiquidityPS |
| BPEBM | Penman, Richardson and Tuna | 2007 | Leverage component of BM | JAR | Predictor | t=4.1 in univariate reg | continuous | Accounting | leverage | 1963 | 2001 | BMlev |
| EBM | Penman, Richardson and Tuna | 2007 | Enterprise component of BM | JAR | Predictor | t=3.0 in double sort | continuous | Accounting | valuation | 1963 | 2001 | BMent |
| EBM_q | Penman, Richardson and Tuna | 2007 | Enterprise component of BM | JAR | Placebo | HXZ variant | continuous | Accounting | valuation | 1963 | 2001 | EBM_q |
| NetDebtPrice | Penman, Richardson and Tuna | 2007 | Net debt to price | JAR | Predictor | t=2.3 in double sort | continuous | Accounting | leverage | 1963 | 2001 | NDebtPrice |
| NetDebtPrice_q | Penman, Richardson and Tuna | 2007 | Net debt to price | JAR | Placebo | HXZ variant | continuous | Accounting | leverage | 1963 | 2001 | NetDebtPrice_q |
| PS | Piotroski | 2000 | Piotroski F-score | AR | Predictor | t=5.59 in port sort nonstandard data lag | continuous | Accounting | composite accounting | 1976 | 1996 | Pscore |
| PS_q | Piotroski | 2000 | Piotroski F-score | AR | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1976 | 1996 | PS_q |
| ShareIss1Y | Pontiff and Woodgate | 2008 | Share issuance (1 year) | JF | Predictor | t=7.08 in univariate reg | continuous | Accounting | external financing | 1970 | 2003 | ShareIs5 |
| DelDRC | Prakash and Sinha | 2012 | Deferred Revenue | CAR | Predictor | t=3.6 in nonstandard reg 5 year sample | continuous | Accounting | investment alt | 2002 | 2007 | DeferRev |
| OrderBacklog | Rajgopal, Shevlin, Venkatachalam | 2003 | Order backlog | RAS | Predictor | t=2.38 in univariate size-adjusted FMB | continuous | Accounting | sales growth | 1981 | 1999 | OrderBacklog |
| DelCOA | Richardson et al. | 2005 | Change in current operating assets | JAE | Predictor | t=9 in mv reg | continuous | Accounting | investment alt | 1962 | 2001 | AssetCGr |
| DelCOL | Richardson et al. | 2005 | Change in current operating liabilities | JAE | Predictor | t=4.5 in mv reg | continuous | Accounting | external financing | 1962 | 2001 | LiabCGr |
| DelEqu | Richardson et al. | 2005 | Change in equity to assets | JAE | Predictor | t=6.3 in mv reg | continuous | Accounting | investment | 1963 | 2001 | Eq2AGr |
| DelFINL | Richardson et al. | 2005 | Change in financial liabilities | JAE | Predictor | t=8 in univariate reg | continuous | Accounting | external financing | 1962 | 2001 | FinLiabGr |
| DelLTI | Richardson et al. | 2005 | Change in long-term investment | JAE | Predictor | t=3.4 in mv reg | continuous | Accounting | investment | 1962 | 2001 | ChLTI |
| DelNetFin | Richardson et al. | 2005 | Change in net financial assets | JAE | Predictor | t=6 in unvivariate reg | continuous | Accounting | investment alt | 1962 | 2001 | DelNetFin |
| DelSTI | Richardson et al. | 2005 | Change in short-term investment | JAE | Placebo | t=0.4 in mv reg | continuous | Accounting | investment alt | 1962 | 2001 | DelSTI |
| TotalAccruals | Richardson et al. | 2005 | Total accruals | JAE | Predictor | t=6 in mv reg | continuous | Accounting | investment alt | 1962 | 2001 | TotalAccruals |
| AgeIPO | Ritter | 1991 | IPO and age | JF | Predictor | Event study, no t-stat | continuous | Event | other | 1981 | 1984 | AgeIPO |
| IndIPO | Ritter | 1991 | Initial Public Offerings | JF | Predictor | t=4 in event study | discrete | Event | external financing | 1975 | 1987 | IndIPO |
| BM | Rosenberg, Reid, and Lanstein | 1985 | Book to market using most recent ME | JF | Predictor | t=6 in nonstandard long-short | continuous | Accounting | valuation | 1973 | 1984 | BM |
| BMq | Rosenberg, Reid, and Lanstein | 1985 | Book to market (quarterly) | JF | Placebo | HXZ variant | continuous | Accounting | valuation | 1973 | 1984 | BMq |
| ChNAnalyst | Scherbina | 2008 | Decline in Analyst Coverage | ROF | Predictor | t > 3 in port sort FF3 alpha for small stocks | discrete | Analyst | earnings event | 1982 | 2005 | ChNAnalyst |
| Accruals | Sloan | 1996 | Accruals | AR | Predictor | t > 4 in port sort CAPM alpha 12 month holding | continuous | Accounting | accruals | 1962 | 1991 | Accruals |
| AssetTurnover | Soliman | 2008 | Asset Turnover | AR | Placebo | t=0.3 in mv reg | continuous | Accounting | composite accounting | 1984 | 2002 | ATurn |
| AssetTurnover_q | Soliman | 2008 | Asset Turnover | AR | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1984 | 2002 | AssetTurnover_q |
| ChAssetTurnover | Soliman | 2008 | Change in Asset Turnover | AR | Predictor | t=5 in mv reg | continuous | Accounting | sales growth | 1984 | 2002 | ATurnGr |
| ChNCOA | Soliman | 2008 | Change in Noncurrent Operating Assets | AR | Placebo | No predictability. Ingredient for predictor. | continuous | Accounting | investment | 1984 | 2002 | LTAssetGr |
| ChNCOL | Soliman | 2008 | Change in Noncurrent Operating Liab | AR | Placebo | No predictability. Ingredient for predictor. | continuous | Accounting | investment alt | 1984 | 2002 | ChNCOL |
| ChNNCOA | Soliman | 2008 | Change in Net Noncurrent Op Assets | AR | Predictor | t=4.3 in mv reg | continuous | Accounting | investment alt | 1984 | 2002 | ChNNCOA |
| ChNWC | Soliman | 2008 | Change in Net Working Capital | AR | Predictor | t=4.6 in mv reg | continuous | Accounting | investment alt | 1984 | 2002 | NWCgr |
| ChPM | Soliman | 2008 | Change in Profit Margin | AR | Placebo | t=0.3 in mv reg | continuous | Accounting | sales growth | 1984 | 2002 | PMGrowth |
| PM | Soliman | 2008 | Profit Margin | AR | Placebo | t=1 in mv reg | continuous | Accounting | profitability | 1984 | 2002 | ProfitMargin |
| PM_q | Soliman | 2008 | Profit Margin | AR | Placebo | HXZ variant | continuous | Accounting | profitability | 1984 | 2002 | PM_q |
| RetNOA | Soliman | 2008 | Return on Net Operating Assets | AR | Placebo | t=1.4 in mv reg | continuous | Accounting | composite accounting | 1984 | 2002 | RetNOA |
| RetNOA_q | Soliman | 2008 | Return on Net Operating Assets | AR | Placebo | HXZ variant | continuous | Accounting | composite accounting | 1984 | 2002 | RetNOA_q |
| DebtIssuance | Spiess and Affleck-Graves | 1999 | Debt Issuance | JFE | Predictor | t = 2.19 FF3 alpha on long port | discrete | Event | external financing | 1975 | 1989 | DebtIssuance |
| ChInv | Thomas and Zhang | 2002 | Inventory Growth | RAS | Predictor | t>2.6 in port sort | continuous | Accounting | investment alt | 1970 | 1997 | Invntory |
| ChTax | Thomas and Zhang | 2011 | Change in Taxes | JAR | Predictor | t = 11.26 in decile sort | continuous | Accounting | other | 1977 | 2006 | TaxGr |
| Investment | Titman, Wei and Xie | 2004 | Investment to revenue | JFQA | Predictor | t=2.86 in VW port sort | continuous | Accounting | investment | 1973 | 1996 | InvToRev |
| realestate | Tuzel | 2010 | Real estate holdings | RFS | Predictor | t=1.8 (VW) and t= 1.28 (EW) in port sort | continuous | Accounting | asset composition | 1971 | 2005 | RealEstate |
| ConvDebt | Valta | 2016 | Convertible debt indicator | JFQA | Predictor | t > 2.6 in mv reg | discrete | Event | external financing | 1985 | 2012 | ConvDebt |
| secured | Valta | 2016 | Secured debt | JFQA | Placebo | t > 1.96 in mv reg | continuous | Accounting | external financing | 1985 | 2012 | secured |
| securedind | Valta | 2016 | Secured debt indicator | JFQA | Placebo | GHZ variant | discrete | Accounting | external financing | 1985 | 2012 | securedind |
| ConsNegRet | Watkins | 2003 | Consistently negative return | Journal of Behavioral Finance | Drop | 9_drop | NA | Price | momentum | 1927 | 1999 | ConsNegRet |
| ConsPosRet | Watkins | 2003 | Consistently positive return | Journal of Behavioral Finance | Drop | 9_drop | NA | Price | momentum | 1927 | 1999 | ConsPosRet |
| PosNegCons | Watkins | 2003 | Pos vs negative consistent return | Journal of Behavioral Finance | Drop | 9_drop | NA | Price | momentum | 1950 | 1999 | PosNegCons |
| WW | Whited and Wu | 2006 | Whited-Wu index | RFS | Placebo | t=1.3 in port sort | continuous | Accounting | external financing | 1975 | 2001 | WW |
| WW_Q | Whited and Wu | 2006 | Whited-Wu index | RFS | Placebo | HXZ variant | continuous | Accounting | external financing | 1975 | 2001 | WW_Q |
| AbnormalAccruals | Xie | 2001 | Abnormal Accruals | AR | Predictor | t=8 port sort w/ nonstandard data lag | continuous | Accounting | accruals | 1971 | 1992 | AccrAbn |
| skew1 | Xing, Zhang and Zhao | 2010 | Volatility smirk near the money | JFQA | Predictor | t = 2.19 in port sort | continuous | Options | optionrisk | 1996 | 2005 | OSmirkNTM |
| SmileSlope | Yan | 2011 | Put volatility minus call volatility | JFE | Predictor | t=8 in port sort | continuous | Options | optionrisk | 1996 | 2005 | OSmirkCP |
| FirmAgeMom | Zhang | 2004 | Firm Age - Momentum | JF | Predictor | t = 7.21 in long portfolio | continuous | Price | momentum | 1983 | 2001 | MomYoung |
no reviews yet
Please Login to review.
